BU-FU-LU期货相关性分析与套利策略原理梳理系列报告（二）：沥青与燃料油的套利策略可行性-20250520

Report Overview - The report is the second in a series on the correlation analysis and arbitrage strategy principles of BU-FU-LU futures, focusing on the feasibility study of arbitrage strategies between asphalt and fuel oil [2]. - It aims to understand the industrial relationship between asphalt and fuel oil, review significant historical fluctuations in their price spreads, and provide trading suggestions for 2025 based on statistical analysis [2]. Industry Investment Rating - Not provided in the report. Core Viewpoints - Asphalt and fuel oil are parallel products at the refining production end, with their raw materials mainly from heavy components produced by primary refinery units. However, their downstream applications, supply-demand patterns, and pricing methods differ significantly [5]. - The fundamental situation has evolved from LU being significantly stronger than BU and FU, and BU being stronger than FU, to the current situation where FU has good demand, BU has weak supply and demand, and LU has oversupply. In 2025, opportunities for narrowing BU-FU spreads and widening BU-LU spreads should be actively sought [58]. - The statistical analysis of historical spread data shows that the BU-FU spread has a trending nature when converging, and the BU-LU spread has a rolling mean reversion property, which can assist in spread trading [60]. Summary by Directory 1. Understanding the Relationship between Asphalt and Fuel Oil from the Industrial Chain Perspective - At the refining production end, straight-run fuel oil, the heaviest component produced by atmospheric and vacuum distillation of crude oil, can be used as a raw material for asphalt production. It can also be directly sold or processed into different types of fuel oil [5]. - In the downstream, asphalt is mainly used for road and waterproofing purposes, while fuel oil is mainly used for marine fuel, power generation, and as a secondary raw material. Their supply-demand patterns and pricing methods also differ significantly [6]. 2. Review of Historical Major Fluctuations in Asphalt and Fuel Oil Price Spreads 2.1 2021 - 2022: Tightening Raw Materials and Demand Recovery Drove Asphalt to Strengthen, with High-Sulfur Fuel Oil Continuously Weaker than Low-Sulfur Fuel Oil - From April to May 2021, BU was significantly stronger than FU and LU. Positive infrastructure expectations and the tax increase on diluted asphalt were the main drivers. The tax increase on diluted asphalt increased the direct cost of this popular raw material for local refineries by 1,276 yuan/ton, about 1/3 of the market price [14][15]. - In 2022, due to sanctions on Russia, the supply of high-sulfur fuel oil in Asia increased significantly, while the demand for low-sulfur fuel oil remained dominant in the global marine fuel market. The price of high-sulfur fuel oil rose less than that of low-sulfur fuel oil and diesel. In contrast, the asphalt market gradually improved, and the BU-FU spread accelerated upward in the third quarter and reached its annual high in the fourth quarter. The BU-LU spread initially declined and then recovered [16]. 2.2 2023 - 2024: Continuous Improvement in High-Sulfur Supply-Demand Pattern, with the BU-FU Spread Continuously Narrowing - From March to August 2023, the BU-FU and BU-LU spreads both narrowed, especially the BU-FU spread. The strengthening of high-sulfur fuel oil was mainly driven by demand, including increased demand in the Singapore marine fuel market, power generation in the Middle East and South Asia, and refinery processing in China. In contrast, the asphalt market was weak, although there were some short-term supports [31]. - In 2024, the focus of the fuel oil market shifted from demand to supply. Drone attacks on Russian refineries led to a significant reduction in fuel oil exports, pushing up the price of high-sulfur fuel oil in Asia. The asphalt market had weak demand and supply, resulting in a continuous narrowing of the BU-FU spread. The BU-LU spread gradually rebounded from the bottom [35]. 2.3 2025: The BU-FU Spread May Continue to Narrow in the Second Quarter, and the BU-LU Spread May Expand in the Second Half of the Year - In 2025, the demand for high-sulfur fuel oil remains promising, while the asphalt market has relatively balanced supply and demand, and the low-sulfur fuel oil market has overall loose supply and weak consumption prospects [39]. - In the second quarter, the demand for fuel oil is strong, while the demand for asphalt may be weak due to possible continuous rainfall in the south. The BU-FU spread may continue to narrow. In the third and fourth quarters, the demand for asphalt is expected to improve seasonally, while the demand for low-sulfur fuel oil may be weak. The BU-LU spread may expand [41]. 3. Statistical Analysis of Asphalt and Fuel Oil Price Spreads and Specific Strategy Applications - Descriptive statistics show that the BU-FU spread has a right-skewed and low-kurtosis distribution, indicating that BU is relatively stronger than FU with a slightly higher probability. The BU-LU spread has a left-skewed distribution closer to the normal distribution, with a lower probability of extreme values [52]. - The BU-FU and BU-LU spread sequences are not stationary time series, but their first-order differences are stationary. This suggests that the spread volatility may have relatively fixed statistical laws [52]. - For the BU-FU spread, a trend-tracking strategy is suitable, especially when the trend is established and strengthened. For the BU-LU spread, a statistical arbitrage strategy based on rolling mean reversion can be considered [53]. - The analysis of 2025 data shows that the BU-FU spread has shifted from right-skewed to left-skewed, with an increased probability of extreme fluctuations. The BU-LU spread has a deeper left-skew, but the probability of extreme low values has decreased [55].